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作者：Hey, Natascha; Mastromatteo, Iacopo; Muhle-Karbe, Johannes; Webster, Kevin
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; Imperial College London
摘要：We study statistical arbitrage problems accounting for the nonlinear and transient price impact of metaorders observed empirically. We show that simple explicit trading rules can be derived even for general nonparametric alpha and liquidity signals and also discuss extensions to several impact decay timescales. These results are illustrated using a proprietary data set of Capital Fund Management metaorders, which allows us to calibrate the levels, concavity, and decay parameters of the price i...
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作者：Singhvi, Divya; Singhvi, Somya
作者单位：New York University; University of Southern California
摘要：We consider the problem of personalized recommendations on online platforms, where user preferences are unknown, and users interact with the platform through a series of sequential decisions (such as clicking to watch on video platforms or clicking to donate on donation platforms). The platform aims to maximize the final outcome (e.g., viewing duration on video platforms or donations on donation platforms). However, the platform only observes the final outcome for users who complete the first ...
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作者：Najy, Waleed; Diabat, Ali; Elbassioni, Khaled
作者单位：New York University; New York University Abu Dhabi; New York University; New York University Tandon School of Engineering
摘要：The difficulty of analyzing and optimizing the stochastic one-warehouse multiretailer problem under the (S, T) policy motivates the need to consider approximate but high-fidelity systems that are easier to scrutinize. We consider one such model in the setting in which retailers face independent normally distributed demand with given (nonidentical) means and variances. Safety stock is computed via a type-I service-level formula that ignores allocation issues, and the cost function is computed b...
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作者：Selvi, Aras; Liu, Huikang; Wiesemann, Wolfram
作者单位：Imperial College London; Shanghai Jiao Tong University
摘要：In recent years, differential privacy has emerged as the de facto standard for sharing statistics of data sets while limiting the disclosure of private information about the involved individuals. This is achieved by randomly perturbing the statistics to be published, which in turn, leads to a privacy-accuracy trade-off; larger perturbations provide stronger privacy guarantees, but they result in less accurate statistics that offer lower utility to the recipients. Of particular interest are, th...
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作者：Brown, David B.; Smith, James E.
作者单位：Duke University; Dartmouth College
摘要：Though variability and uncertainty have always posed challenges for power systems, the increasing use of renewable energy sources has exacerbated these issues. At a vertically integrated utility, the system operator manages many generation units- renewable and otherwise-and storage units to ensure that the total energy produced matches contemporaneous demand. Current industry practice at these utilities involves solving unit commitment and economic dispatch optimization problems to choose prod...
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作者：Zubeldia, Martin; Jhunjhunwala, Prakirt R.; Maguluri, Siva Theja
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Columbia University; University System of Georgia; Georgia Institute of Technology
摘要：Inspired by quantum switches, we consider a discrete-time multiway matching system with two classes of arrivals: requests for entangled pair of qubits between two nodes and qubits from each node that can be used to serve the requests. An important feature of this model is that qubits decohere and so abandon over time. In contrast to classical server-based queueing models, the combination of queueing, server-less multiway matching, and (potentially correlated) abandonments make the analysis a c...
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作者：Gotoh, Jun-ya; Kim, Michael Jong; Lim, Andrew E. B.
作者单位：Chuo University; University of British Columbia; National University of Singapore; National University of Singapore
摘要：Whereas solutions of distributionally robust optimization (DRO) problems can sometimes have a higher out-of-sample expected reward than the sample average approximation (SAA), there is no guarantee. In this paper, we introduce a class of distributionally optimistic optimization (DOO) models and show that it is always possible to beat SAA out-of-sample if we consider not just worst case (DRO) models but also best case (DOO) ones. We also show, however, that this comes at a cost: optimistic solu...
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作者：Bayrak, Halil Ibrahim; Kocyigit, Cagil; Kuhn, Daniel; Pinar, Mustafa Celebi
作者单位：Ihsan Dogramaci Bilkent University; University of Luxembourg; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：We consider the mechanism design problem of a principal allocating a single good to one of several agents without monetary transfers. Each agent desires the good and uses it to create value for the principal. We designate this value as the agent's private type. Even though the principal does not know the agents' types, she can verify them at a cost. The allocation of the good thus depends on the agents' self-declared types and the results of any verification performed, and the principal's payo...
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作者：Farina, Gabriele; Kroer, Christian; Sandholm, Tuomas
作者单位：Columbia University; Carnegie Mellon University
摘要：We study the application of iterative first-order methods to the problem of computing equilibria of large-scale extensive-form games. First-order methods must typically be instantiated with a regularizer that serves as a distance-generating function (DGF) for the decision sets of the players. In this paper, we introduce a new weighted entropy-based distance-generating function. We show that this function is equivalent to a particular set of new weights for the dilated entropy distance-generati...
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作者：Enikeeva, Farida; Klopp, Olga
作者单位：Universite de Poitiers
摘要：Structural changes occur in dynamic networks quite frequently and their detection is an important question in many situations, such as fraud detection or cybersecurity. Real-life networks are often incompletely observed because of individual nonresponse or network size. In the present paper, we consider the problem of change-point detection at a temporal sequence of partially observed networks. The goal is to test whether there is a change in the network parameters. Our approach is based on th...
